# Exact simulation of Brown-Resnick random fields at a finite number of locations

@article{Dieker2014ExactSO, title={Exact simulation of Brown-Resnick random fields at a finite number of locations}, author={A. B. Dieker and Thomas Mikosch}, journal={Extremes}, year={2014}, volume={18}, pages={301-314} }

We propose an exact simulation method for Brown-Resnick random fields, building on new representations for these stationary max-stable fields. The main idea is to apply suitable changes of measure.

## 83 Citations

Exact simulation of max-stable processes.

- Mathematics, Computer ScienceBiometrika
- 2016

This work presents a new algorithm for exact simulation of a max-stable process at a finite number of locations that relies on the idea of simulating only the extremal functions, that is, those functions in the construction of a Maximum Stable Process that effectively contribute to the pointwise maximum.

Extremes on different grids and continuous time of stationary processes

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Abstract Brown‒Resnick processes are max-stable processes that are associated to Gaussian processes. Their simulation is often based on the corresponding spectral representation which is not unique.…

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We investigate the tail asymptotic behavior of the sojourn time for a large class of centered Gaussian processes X, in both continuous- and discrete-time framework. All results obtained here are new…

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Being the max-analogue of $\alpha$-stable stochastic processes, max-stable processes form one of the fundamental classes of stochastic processes. With the arrival of sufficient computational…

Bayesian inference for the Brown-Resnick process, with an application to extreme low temperatures

- Computer Science
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This paper exploits a case in which the full likelihood of a Brown-Resnick process can be calculated, using componentwise maxima and their partitions in terms of individual events, and proposes two new approaches to inference.

EXTREMES OF α(t)-LOCALLY STATIONARY GAUSSIAN PROCESSES WITH NON-CONSTANT VARIANCES

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- 2021

This paper derives the exact tail asymptotics of α(t)-locally stationary Gaussian processes with non-constant variance functions and shows that some certain variance functions lead to qualitatively new results.

High-dimensional peaks-over-threshold inference for the Brown-Resnick process

- Mathematics
- 2016

Max-stable processes are increasingly widely used for modelling complex extreme events, but classical fitting methods are computationally demanding, limiting applications to a few dozen variables.…

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